Related papers: The Ces\`aro Value Iteration
Optimal control problems with oscillations (chattering controls) and concentrations (impulsive controls) can have integral performance criteria such that concentration of the control signal occurs at a discontinuity of the state signal.…
Optimal control of bilinear systems has been a well-studied subject in the area of mathematical control. However, techniques for solving emerging optimal control problems involving an ensemble of structurally identical bilinear systems are…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…
An optimal control problem with an infinite horizon quadratic cost functional for a linear system with a known additive disturbance is considered. The feature of this problem is that a weight matrix of the control cost in the cost…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
Inverse Optimal Control (IOC) aims to infer the underlying cost functional of an agent from observations of its expert behavior. This paper focuses on the IOC problem within the continuous-time linear quadratic regulator framework,…
We revisit the inverted pendulum problem with the goal of understanding and computing the true optimal value function. We start with an observation that the true optimal value function must be nonsmooth ($i.e.$, not globally $C^1$) due to…
This paper studies online solutions for regret-optimal control in partially observable systems over an infinite-horizon. Regret-optimal control aims to minimize the difference in LQR cost between causal and non-causal controllers while…
In this paper we provide optimal bounds for fully discrete approximations to finite horizon problems via dynamic programming. We adapt the error analysis in \cite{nos} for the infinite horizon case to the finite horizon case. We prove an a…
We propose a method for designing policies for convex stochastic control problems characterized by random linear dynamics and convex stage cost. We consider policies that employ quadratic approximate value functions as a substitute for the…
Motivated by various distributed control applications, we consider a linear system with Gaussian noise observed by multiple sensors which transmit measurements over a dynamic lossy network. We characterize the stationary optimal sensor…
This paper studies the infinite-horizon adaptive optimal control of continuous-time linear periodic (CTLP) systems. A novel value iteration (VI) based off-policy ADP algorithm is proposed for a general class of CTLP systems, so that…
Iterative numerical algorithms are typically equipped with a stopping criterion, where the iteration process is terminated when some error or misfit measure is deemed to be below a given tolerance. This is a useful setting for comparing…
This manuscript studies the Minkowski-Bellman equation, which is the Bellman equation arising from finite or infinite horizon optimal control of unconstrained linear discrete time systems with stage and terminal cost functions specified as…
We consider an infinite-horizon optimal control problem with an asymptotic terminal constraint. For the the weakly overtaking criterion and the overtaking criterion, necessary boundary conditions on co-state arcs are deduced, these…
This paper introduces a novel model-free and a partially model-free algorithm for inverse optimal control (IOC), also known as inverse reinforcement learning (IRL), aimed at estimating the cost function of continuous-time nonlinear…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
This study focuses on the problem of optimal mismatched disturbance rejection control for uncontrollable linear discrete-time systems. In contrast to previous studies, by introducing a quadratic performance index such that the regulated…